Xenogears.
Even years later, with it's terrible graphics and rushed second disk, it is still one of the most complex, well handled RPG stories I have ever had the pleasure to play.
I'll also throw in a +1 for Grandia II, Parasite Eve, Persona 3 FSE. (Persona 1 and 4 were good too (can't get my hands on a copy of two), but neither lived up to standard of "best" for me.)
I would also like to second Xenosaga as a whole for its story, although the only one I actually enjoy PLAYING is Xenosaga III (Xenosaga I and II screwing up the actual gameplay, one being dull and two... the less said about two the better). Fortunately I got the preorder DVD with all of Xenosaga I's cut scenes so I never have to play that one again. I wish they'd done that for the second game too. So much do I wish that.
And finally, Skies of Arcadia. Now, I just wish my Dreamcast wasn't fritzy....